Exactly 2 years ago, i was in your situation and stressed that I failed. I managed to find all the answers to the 80 questions in this forum and looking at other resources. Anyway, I found out that 41 questions correct and all the rest incorrect (with a confidence level of 100% because I remembered exactly what i answered to every questions) and guess what, I scored 1,1,1,2,1. I know its hard to believe but why would I lie, I am not selling anything and you can still check my posts on this forum in 2013, you will see that I was there. So, relax, enjoy your time and i can guarantee that with your 35, 25, 20 you are almost guarantee to pass. Hard to believe but anyone who wants to challenge me on that, be prepared, because I am speaking out of experience (my experience and friends experience too). And the same goes for CAIA that I just cleared (made a LOT of mistakes and still passed it). Just relax
Exam Feedback November 2015 Part 2 FRM Exam Feedback
- Thread starter Nicole Seaman
- Start date
Exactly 2 years ago, i was in your situation and stressed that I failed. I managed to find all the answers to the 80 questions in this forum and looking at other resources. Anyway, I found out that 41 questions correct and all the rest incorrect (with a confidence level of 100% because I remembered exactly what i answered to every questions) and guess what, I scored 1,1,1,2,1. I know its hard to believe but why would I lie, I am not selling anything and you can still check my posts on this forum in 2013, you will see that I was there. So, relax, enjoy your time and i can guarantee that with your 35, 25, 20 you are almost guarantee to pass. Hard to believe but anyone who wants to challenge me on that, be prepared, because I am speaking out of experience (my experience and friends experience too). And the same goes for CAIA that I just cleared (made a LOT of mistakes and still passed it). Just relax
Some questions
-A floating rate note with 4 periods of time, ¿what was the period with highest exposure?
-Credit Link Note, Total Return Swap, ¿What is the safest to the protection buyer?
-ARAROC and systemic risk
-OIS vs LIBOR discounting
-CDO for a car bussines
-VaR if correlation among collateral and the instrument changes.
-One about correlation of operational events and tails
-CVA Budget with a table with all the inputs (PD,LGD,EAD)
-3rd pillar of Basel is about Market disclosure
-A floating rate note with 4 periods of time, ¿what was the period with highest exposure?
-Credit Link Note, Total Return Swap, ¿What is the safest to the protection buyer?
-ARAROC and systemic risk
-OIS vs LIBOR discounting
-CDO for a car bussines
-VaR if correlation among collateral and the instrument changes.
-One about correlation of operational events and tails
-CVA Budget with a table with all the inputs (PD,LGD,EAD)
-3rd pillar of Basel is about Market disclosure
@chouchoc- sounds too good to be true that 41 /80 led you to 11121. However, we would like to believe that . I had infact bet on 50/80 considering that around 30% of the questions were qualitative with no clear black and white answers and by no yardsticks can the overall paper be labelled as less than tricky . Your post has been a great motivator. Thanks. Lets wait for 2 Jan 2016 and revisit our posts with fond memories.
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-A floating rate note with 4 periods of time, ¿what was the period with highest exposure? -[ i guessed T/2 , not sure.]
-Credit Link Note, Total Return Swap, ¿What is the safest to the protection buyer?- [CLN - the question was which party had the least counterparty risk]
-ARAROC and systemic risk [ It will increase firm value ]
-OIS vs LIBOR discounting [ 1100- Guessed ]
-CDO for a car bussines [ 2 options were evidently incorrect..eg balance sheet increases & increased leverage. Dont remember the other two ]
-VaR if correlation among collateral and the instrument changes. [ Dont remember the exact Q]
-One about correlation of operational events and tails [ high frequency, small losses]
-CVA Budget with a table with all the inputs (PD,LGD,EAD) [ Dont remember the answer options but one with the largest EL]
-3rd pillar of Basel is about Market disclosure[/QUOTE]- [I marked the same ie Market Disclosure]
Thanks for your positive feedback... actually I have comfortable feeling and to prove your point is what is the passing score that about 60% of the candidates will pass such exam? Of course, we cant say it is 70%...so the passing score will be much lower than this. Moreover, from this forum and other forums... the candidates are passing with second quartile (over all)...this translates that passing score - maybe - 45...
What should be the answer to that question where it was given that in 250 days a model VaR gave 12 defaults but immediately the day after a default, 6 other defaults happened? What could have been ignored by the model?
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I marked serial correlation, kristoffersen test measures the bunching of exceptions when backtesting. I think the ES answer was tricky.
I have selected the answer saying... serial correlation/independence...
I have also marked this one but I can't see any material in assigned readings which points out this cause. Can anyone mention if there is any?
Cant remember the question in detail, what have been the other possible answers?
it is clearly mentioned in schweser...
Yes. Found it....thanks....
I can't remember what some of my answers were. These are the ones which I can remember and which I had different answers for/or reservations over the answers:
3. OIS- 4/4.5% - LIBOR -5% [ 1100 - guess] -- This is 1009 or something.
16. Call Put Delta [ Call delta decrease , put delta increase ] -- Decrease/decrease. Put delta drops with moneyness.
33. Alpha, Beta , Gamma [ Beta will face funding risk ] -- Not sure about this one, and I think it's partly because GARP isn't always clear with the way answers are worded. You could argue there is some form of funding risk in that Beta cannot provide cash to Alpha, but Beta freezing a repo line in which it provides funding is funding risk to Alpha, not Beta. I think the better answer is the one where Beta's operational risk is reduced. External fraud (even made clear in the question) is an operational risk which would be minimised by a clearinghouse.
-A floating rate note with 4 periods of time, ¿what was the period with highest exposure? -[ i guessed T/2 , not sure.] -- This one threw me for a loop too. Not sure what the correct answer should be, but went with T=2. Could be completely wrong, but the FRN shouldn't pose counterparty risk to the firm that is paying the coupons/face, which leaves just the swap (notice the question asks about c/p risk to the company AND the bank). XCS have credit risk profiles weighted towards the end of the swap, IRS have heavier weightages in the middle. If there had been an option for T=1 / 0.5 years, that would have been interesting as EE has a 0.4 multiplier. Since there isn't, I felt T=2 / 1yr was the best, could be wrong.
Yeah serial correlation, the model hasn't accounted for the bunching of returns.
Which ES question -- the one where we are given a table of the worst outcomes? Answer is 2.2.
The ES question just involved finding the average of the lowest 5 returns. Something like 2.22 was the answer.
I am not sure about the answer of that floating leg value question either. For a float leg, the PV becomes the principal itself as future CFs are the floating rates and they are also discounted by the corresponding zero rates, so should it be just 1000? (unless the zero rates change with time in which case that value will change from the principal)
This was actually something from L1...
I am not sure about the answer of that floating leg value question either. For a float leg, the PV becomes the principal itself as future CFs are the floating rates and they are also discounted by the corresponding zero rates, so should it be just 1000? (unless the zero rates change with time in which case that value will change from the principal)
This was actually something from L1...
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afterworkguinness
Active Member
One question that stuck out for me was along the lines of:
An index halted trading for 5 weeks, during that 5 weeks, would the VaR of a portfolio that replicated the index be 0 or unchanged from before the halt in trading. Would the VaR immediately after trading resumed be the same as when trading was halted,higher or lower.
An index halted trading for 5 weeks, during that 5 weeks, would the VaR of a portfolio that replicated the index be 0 or unchanged from before the halt in trading. Would the VaR immediately after trading resumed be the same as when trading was halted,higher or lower.
TwoL84 you wrote
16. Call Put Delta [ Call delta decrease , put delta increase ] -- Decrease/decrease. Put delta drops with moneyness.
Are you saying decrease/decrease is the answer? I think call delta decrease, put delta increase. Both can't move in the same direction. If have sold a call option and the underlying goes down in price, the option is less profitable to the buyer so I need less of the underlying to hedge. If on the other hand I sold a put and the underlying decrease, the likelihood of having to pay out increases so I need more underlying to hedge out all my risk.
16. Call Put Delta [ Call delta decrease , put delta increase ] -- Decrease/decrease. Put delta drops with moneyness.
Are you saying decrease/decrease is the answer? I think call delta decrease, put delta increase. Both can't move in the same direction. If have sold a call option and the underlying goes down in price, the option is less profitable to the buyer so I need less of the underlying to hedge. If on the other hand I sold a put and the underlying decrease, the likelihood of having to pay out increases so I need more underlying to hedge out all my risk.
It is about the change in price (delta) and not price itself. The put delta does increase in magnitude but is negative, (like changing from -1 to -3) so it reduces, ie., becomes more negative.
I think decrease / decrease is correct...I also marked decrease call, increase put...tricky
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